Over a two-year period, domestically based financial institutions cut their dealings with Mexico by 13 percent, according to consulting and analysis firm SNL Financial. The 11 U.S. banks with the most Mexico exposure have a combined $96 billion in cross-border claims.

By far the bank with the most Mexico-related business is Citigroup, which has been working to pare its $65.8 billion in exposure. That number represents a 23 percent decline from the third quarter of 2014 through the same period in 2016, SNL reported.

The moves come as President Donald Trump puts what had been campaign rhetoric into action.

During his successful candidacy, he promised to build a wall along the southern U.S border to keep out illegal immigrants. He has threatened to slap a 35 percent tariff on Mexican imports unless the country agrees to renegotiate the North American Free Trade Agreement, and he is considering a border tax aimed at increasing U.S. exports and reducing imports.

CEO Michael Corbat told analysts during the fourth-quarter conference call that the bank can adapt to policy changes.

"If you go back to our history 205 years and since then, through wars, through trade wars, through depressions, through recessions, we've supported U.S. companies all over the world and in this, we will continue to do that," Corbat said, according to a Thomson Reuters transcript of the call. "I think a lot of it depends on what form any type of tariffs may take on, and it's tough to tell."

As far as Trump's plans specifically, Corbat said he found them "workable," noting that "we maneuvered these types of things before and we think we've got the ability to work with them in the future."

Banks, of course, have been the big beneficiaries of the stock market rally underway since Trump's November election victory.

The KBW Bank Index has gained nearly 24 percent since the election, as of Wednesday's close. Citi's shares have risen 15.5 percent during that period, with underperformance due largely to a 6 percent drop since Jan. 4.

Bullishness on banks comes from expectations for more inflation that will push up interest rates and, consequently, bank's margins. Some analysts have speculated that the border tax will be inflationary in that it would act essentially as a consumption tax on Mexican goods.

Interestingly, Corbat said he believes the bank has been underinvested in Mexico overall. Citi's interest in Mexico is executed primarily through its Grupo Financiero Banamex SA de CV subsidiary.

However, he stressed that the bank wants to focus on making smart investments in the country that are in line with the Trump White House's thinking to create "a supply chain that truly competes on a global basis."